# Small Concentration Asymptotics and Instrumental Variables Inference

## Author

## Abstract

## Suggested Citation

**Small Concentration Asymptotics and Instrumental Variables Inference**," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics.

*RePEc:msh:ebswps:2005-4*

## Download full text from publisher

## Other versions of this item:

- D.S. Poskitt & C.L. Skeels, 2005.
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**Small Concentration Asymptotics and Instrumental Variables Inference**," Department of Economics - Working Papers Series 948, The University of Melbourne.

## References listed on IDEAS

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**Full references**(including those not matched with items on IDEAS)

## Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
**Cited by:**

- Russell Davidson & James G. MacKinnon, 2008.
"
**Bootstrap inference in a linear equation estimated by instrumental variables**," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 443-477, November.- Russell Davidson & James G. MacKinnon, 2006.
"
**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**," Working Papers 1024, Queen's University, Department of Economics. - Russell Davidson & James Mackinnon, 2009.
"
**Bootstrap inference in a linear equation estimated by instrumental variables**," Working Papers halshs-00442713, HAL. - Russell Davidson & James G. MacKinnon, 2008.
"
**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**," Working Papers 1157, Queen's University, Department of Economics. - Russell Davidson & James MacKinnon, 2006.
"
**Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables**," Departmental Working Papers 2006-21, McGill University, Department of Economics.

- Russell Davidson & James G. MacKinnon, 2006.
"
- Russell Davidson & James G. MacKinnon, 2008.
"
**Bootstrap inference in a linear equation estimated by instrumental variables**," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 443-477, November.- Russell Davidson & James MacKinnon, 2006.
"
**Bootstrap Inference In A Linear Equation Estimated By Instrumental Variables**," Departmental Working Papers 2006-21, McGill University, Department of Economics. - Russell Davidson & James Mackinnon, 2009.
"
**Bootstrap inference in a linear equation estimated by instrumental variables**," Working Papers halshs-00442713, HAL. - Davidson, Russell & MacKinnon, James G., 2008.
"
**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**," Queen's Economics Department Working Papers 273633, Queen's University - Department of Economics. - Russell Davidson & James G. MacKinnon, 2008.
"
**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**," Working Papers 1157, Queen's University, Department of Economics. - Russell Davidson & James G. MacKinnon, 2006.
"
**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**," Working Papers 1024, Queen's University, Department of Economics. - Davidson, Russell & MacKinnon, James, 2006.
"
**Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables**," Queen's Economics Department Working Papers 273460, Queen's University - Department of Economics.

- Russell Davidson & James MacKinnon, 2006.
"
- Adrian Pagan, 2007.
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**Weak instruments (in Russian)**," Quantile, Quantile, issue 2, pages 71-81, March.

## More about this item

### Keywords

IV estimator; concentration parameter; small concentration asymptotics; hypothesis testing; confidence region construction; valid inference.;### JEL classification:

**C12**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General**C16**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions**C30**- Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General**C50**- Mathematical and Quantitative Methods - - Econometric Modeling - - - General

### NEP fields

This paper has been announced in the following NEP Reports:- NEP-ALL-2005-02-27 (All new papers)
- NEP-ECM-2005-02-27 (Econometrics)

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